Well thank you very much for these explanations. Unfortunately, I must admit the book I have for survival analysis seems less precise as to which test to use and why.
Still, in coxph (survival), if I have multiple variables in a model, say X_1, X_2, and X_3, how do I test their respective coefficients \beta_1, \beta_2, and \beta_3 with the LR, score and Wald? I guess i can do it by comparing the model with all three variables to those without each of the variables, but is there not a more straightforward manner? David Biau. ________________________________ De : "Therneau, Terry M., Ph.D." <thern...@mayo.edu> À : David Winsemius <dwinsem...@comcast.net>; Biau David <djmb...@yahoo.fr> Cc : r help list <r-help@r-project.org> Envoyé le : Ven 30 juillet 2010, 19h 07min 15s Objet : RE: Re : [R] COXPH: how to get the score test and likelihood ratio test for a specific variable in a multivariate Coxph ? The Wald, score, and LR tests are discussed in full in my book. They are not the same. The LR test is the difference between LR(beta=0) and LR(beta=final). The score test is a Taylor series approximation to this using an expansion around beta=0. The Wald test is a similar Taylor series approximation, but around beta=final. If there are no tied times the score test = Log-rank test. If there are ties, then they are just a tiny bit different: the paper using the log-rank has an n-1 in his variance term and the Cox model has an n. Neither is right or wrong, just a different choice. Terry Therneau [[alternative HTML version deleted]]
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